This novice tutorial will teach you how to change what the mouse looks like.

To begin, create a sprite. Name it spr_custommouse (you can actually name it whatever you like, but it's good practice to name it relevantly). Draw what you want your custom cursor to look like. Animations are fine.

Once done, in Sprite Properties, set the origin of the sprite to where you want clicks to be detected (on the standard Windows cursor, it's the black pixel on the very top of the arrow).

Once done, create an object named obj_custommouse (again, name it what you like, this is just a recommendation). Set its sprite to the mosue sprite you just created.

Custom mouse object: Step event

x=mouse_x
y=mouse_y

mouse_x and mouse_y are preset variables that are positioned at the mouse cursor's event. With this, your custom mouse will jump to the position of the real mouse.

All that's left now is to hide the real mouse.

Global Game Settings

Go into the Graphics tab (this is probably the one already open) and untick Display the cursor.